Η προβλεπτική ικανότητα της μερισματικής απόδοσης για το ασφάλιστρο κινδύνου μετοχών

Φαμπιάτος, Γεράσιμος

The predictive ability of dividend yield on equity premiums

Master Thesis

Author

Φαμπιάτος, Γεράσιμος

Date

2013-06

Abstract

In this paper we examine the predictive ability of dividend yield on equity premiums in 11 developed countries. We compute regression forecasts and we statistically test the forecasting ability of the dividend yields by using the Clark & West (2007) statistic. Particular attention is paid to structural brakes as well as their correlation over the business cycle. Our results do not indicate strong predictive ability of dividend yields on equity risk premiums.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/8484

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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